The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution

DOI10.1017/S0266466607070405MaRDI QIDQ2886973zbMATHOpenAlexFDO

Authors Yong Bao

Publication date 14 May 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466607070405

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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Cites work

• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Properties of shrinkage estimators in linear regression when disturbances are not normal
• Testing for Unit Roots: 2
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The exact moments of OLS in dynamic regression models with non-normal errors
• The exact moments of the least squares estimator for the autoregressive model

Cited in

(20)

• Improving the estimation and predictions of small time series models
• Bias in the estimation of the mean reversion parameter in continuous time models
• Regressor and disturbance have moments of all orders, least squares estimator has none
• Joint confidence sets for structural impulse responses
• The exact moments of OLS in dynamic regression models with non-normal errors
• Expectation of quadratic forms in normal and nonnormal variables with applications
• Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• Moment approximation for least‐squares estimators in dynamic regression models with a unit root
• Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution
• Least squares bias in time series with moderate deviations from a unit root
• The second-order bias and mean squared error of estimators in time-series models
• scientific article; zbMATH DE number 4011739 (Why is no real title available?)
• Jackknife estimation of stationary autoregressive models
• Impulse response matching estimators for DSGE models
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• scientific article; zbMATH DE number 3901862 (Why is no real title available?)
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• scientific article; zbMATH DE number 3934249 (Why is no real title available?)
• Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors

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